Now that's something I can help with
That string is defined in the com_user language file below. You can modify the string to be whatever you want it to be, as well as having a link in it. The file is located at:
/languages/en-gb/en-GB.com_user.ini
Change:
YOUR SETTINGS HAVE BEEN SAVED.=Your settings have been Saved.
to something like:
YOUR SETTINGS HAVE BEEN SAVED.=Thanks for updating your password. Please click <a href="blah">here to download!</a>
Hope this helps, and good idea to get around your issue!